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Optimal Control and Filtering in Linear Forward-looking Economies: A Toolkit

Andrea Gerali () and Francesco Lippi

No 3706, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We provide algorithms to solve a linear-quadratic optimal control problem with commitment. By extending to the case of imperfect information a procedure outlined in Ljungqvist and Sargent (2002), we make the results of Svensson and Woodford (2000) easy to implement. We provide a Mat-lab package that solves this class of models and analyses their properties using simulations, impulse response functions and other techniques, with both commitment and discretion. A monetary policy application, based on the “new-Keynesian” model of Clarida, Galí and Gertler (1999), is used to illustrate how the toolkit can be used.

Keywords: commitment; filtering; optimal control (search for similar items in EconPapers)
JEL-codes: E50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2003-01
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